A varying terminal time structure for stochastic optimal control under constrained condition

DOI10.1002/RNC.5048zbMath1466.93181arXiv1905.03526OpenAlexW3037523476MaRDI QIDQ4990859

Shuzhen Yang

Publication date: 31 May 2021

Published in: International Journal of Robust and Nonlinear Control (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1905.03526

zbMATH Keywords

stochastic differential equationstochastic maximum principlevarying terminal time

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20)

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